Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0721
Annualized Std Dev 0.4044
Annualized Sharpe (Rf=0%) -0.1782

Row

Daily Return Statistics

Close
Observations 4147.0000
NAs 1.0000
Minimum -0.4595
Quartile 1 -0.0081
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0003
Quartile 3 0.0085
Maximum 0.5800
SE Mean 0.0004
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0008
Variance 0.0006
Stdev 0.0255
Skewness 0.7864
Kurtosis 104.4596

Downside Risk

Close
Semi Deviation 0.0181
Gain Deviation 0.0213
Loss Deviation 0.0216
Downside Deviation (MAR=210%) 0.0219
Downside Deviation (Rf=0%) 0.0180
Downside Deviation (0%) 0.0180
Maximum Drawdown 0.9514
Historical VaR (95%) -0.0303
Historical ES (95%) -0.0566
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2014-09-22 2020-03-18 NA -0.9514 1636 1382 NA
2007-04-17 2008-12-01 2013-05-10 -0.7030 1529 412 1117
2005-09-12 2005-12-13 2006-10-17 -0.1767 278 66 212
2013-07-02 2013-10-10 2013-12-24 -0.1123 123 71 52
2014-01-02 2014-03-13 2014-08-15 -0.0996 157 49 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA 0.6 -0.2 0.2 0.6 1.2
2005 0.3 -0.2 -1.2 0.9 0.8 -0.9 -0.1 0.6 0 0 1.3 -0.4 0.8
2006 0.8 -0.1 0.4 -0.7 0.9 0.4 -0.6 1.4 0.4 -2.5 1.5 0.8 2.8
2007 0.4 0 2.5 -0.6 2.2 1 -0.8 2.7 -2.4 -2.3 0.6 1.8 5
2008 3.3 -2.3 1.4 0.2 0 -0.5 1 -4.5 -2.1 1.3 -16.8 9 -11.6
2009 -0.2 0.1 -5.3 0.3 1.9 -4.3 -0.6 -0.3 -4.1 3.4 1.1 1.4 -6.8
2010 0.5 -0.1 -1.7 -0.5 -2.4 0.5 2.9 1.4 -0.8 0 0.5 1.3 1.4
2011 1.4 -0.2 -1 0.5 -1.4 0.3 2.3 -1.1 -1.3 0.3 1.5 -0.2 0.9
2012 0.1 0.2 1.5 -0.2 -1.2 0.2 0.3 1 0.7 0.7 -0.5 1.2 4
2013 0.4 0.1 0.6 0.6 -1.3 0.1 1.2 -0.9 1.5 0.9 0.1 0.8 4.3
2014 1 0.1 0.6 0.1 0.6 -0.8 -1.9 0.7 -1.8 -0.3 -2.2 -0.9 -4.6
2015 -0.5 0.6 -1 0.6 -0.2 -4 -1.9 -1 -0.4 3.8 -2 7.3 0.9
2016 -6.4 -2.5 -0.3 1.3 3.4 -1.2 -2.8 -0.6 1.9 -0.6 -1.4 0.4 -8.7
2017 4 0.6 2.1 -0.3 0.1 0.8 -1.1 0.6 0.4 0.7 2.9 0.3 11.7
2018 2.2 -0.5 2.3 0.2 0.9 1.7 -0.8 -0.5 1.7 2.5 -1.4 3.9 12.9
2019 2.1 0.8 0.9 0.4 -1.2 0.5 -1 0.5 -1.7 2.1 -0.2 0.7 3.9
2020 -1.1 -0.4 -5.8 -4.9 2.6 -2.1 -1.5 -2.1 -1.3 -1.7 3.2 1.1 -13.5
2021 0.5 2.5 2 NA NA NA NA NA NA NA NA NA 5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart